COUNTRY • EGYPT
Last Update: 28 Jun 2022 8:15 GMT+0

The Egypt 10Y Government Bond has a 17.135% yield.

10 Years vs 2 Years bond spread is 234.5 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is 11.25% (last modification in May 2022).

The Egypt credit rating is B, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 439.25 and implied probability of default is 7.32%.

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Residual
Maturity
Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
3 months 15.982% +210.5 bp +398.6 bp 28 Jun
6 months 15.726% +213.8 bp +323.2 bp 28 Jun
9 months 15.431% +135.6 bp +236.4 bp 28 Jun
1 year 15.344% +144.7 bp +164.6 bp 86.70 -1.25 % -1.42 % 28 Jun
2 years 14.790% -153.6 bp +49.1 bp 75.89 +2.69 % -0.85 % 28 Jun
3 years 15.625% -101.5 bp +44.8 bp 64.69 +2.65 % -1.16 % 28 Jun
5 years 16.270% -54.2 bp +145.0 bp 47.06 +2.35 % -6.09 % 28 Jun
7 years 16.768% -7.3 bp +159.1 bp 33.79 +0.45 % -9.14 % 28 Jun
10 years 17.135% +26.3 bp +189.1 bp 20.57 -2.19 % -15.00 % 28 Jun
Last Update: 28 Jun 2022 8:15 GMT+0

Egypt Yield Curve Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).
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Residual
Maturity
Yield Spread vs Bond Spread vs
Central Bank
Rate (11.25%)
3 months 1 year 2 years 5 years
10 years 17.135% 588.5 bp
5 years 16.270%
502.0 bp
2 years 14.790%
354.0 bp
1 year 15.344%
409.4 bp
3 months 15.982%
473.2 bp
Focusing on 2 years Government Bond:
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2Y vs 1Y -55.4 bp Yield Curve is inverted in Short-Term Maturities
5Y vs 2Y 148 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 234.5 bp Normal Convexity in Long-Term vs Short-Term Maturities

Egypt Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation). For a deeper analysis of credit ratings, click here Egypt Credit Ratings History
Rating Agency Rating Outlook
Standard & Poor's
B
-
Moody's Investors Service
B2
negative
Fitch Ratings
B+
-
DBRS
-
-

Egypt Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.
Interest Rates Value
Central Bank Rate 11.25%

Egypt Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.
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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 439.25 -1.39 % +2.39 % +54.01 % 7.32 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

Egypt 10Y Bond Yield Spread

The Egypt 10Y Government Bond has a 17.135% yield. Click on Spread value for the historical serie.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle.

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
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Egypt 10Y vs Current Spread Chg 1M Chg 6M
Japan 10Y 1690.5 bp +25.6 bp +172.0 bp Compare
Germany 10Y 1548.0 bp -41.6 bp +0.0 bp Compare
France 10Y 1494.4 bp -43.4 bp -16.9 bp Compare
United Kingdom 10Y 1464.8 bp -30.0 bp +32.7 bp Compare
Spain 10Y 1439.3 bp -39.1 bp -34.1 bp Compare
China 10Y 1427.8 bp +15.6 bp +185.4 bp Compare
United States 10Y 1388.6 bp -24.3 bp +12.6 bp Compare
Canada 10Y 1367.7 bp -40.5 bp -9.1 bp Compare
Italy 10Y 1345.1 bp -52.5 bp -69.8 bp Compare
Australia 10Y 1331.6 bp -30.7 bp -34.1 bp Compare
India 10Y 967.8 bp +15.6 bp +91.2 bp Compare
Russia 10Y 851.5 bp +115.3 bp +168.6 bp Compare
Brazil 10Y 435.3 bp -8.6 bp -18.4 bp Compare

Egypt Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates. The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
10 years 17.135% 20.57 25.20 34.47 43.74 53.02 62.29
7 years 16.768% 33.79 37.73 45.63 53.53 61.43 69.33
5 years 16.270% 47.06 50.31 56.82 63.33 69.84 76.35
3 years 15.625% 64.69 66.95 71.47 75.99 80.51 85.03
2 years 14.790% 75.89 77.52 80.78 84.04 87.30 90.56
1 year 15.344% 86.70 87.56 89.30 91.03 92.77 94.50
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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